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the creators of Black-Scholes destroyed their options selling fund based on their flawed belief that everyone else had mispriced options, or the black swan possibility should have been part of the formula

also Black-Scholes doesnt factor in the liquidity of the underlying asset, in modern times I think this is relevant in determining the utility of an options contract

there are other options pricing formulas



If you mean LTCM then the story is far more dull (i.e. too much leverage, fund goes boom)

Ed Thorpe did originally want to setup an options fund (he was the first to trade the model) that he later estimated would've blown up due to various market conditions at the time IIRC


LTCM wasn't really an options selling fund though selling equity options did become a big trade for them

Also they were more of advisors in the fund then anything else


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